Cointegration and distance between differenced processes

Umberto Triacca ()

Quality & Quantity: International Journal of Methodology, 2012, vol. 46, issue 6, 1953-1957

Abstract: In this note, it is argued that cointegration augments the distance between the differenced series. If two series, x t and y t , are integrated of order one and cointegrated and v t and w t are integrated of order one but not cointegrated then, under certain conditions, the distance between Δx t and Δy t is more than the distance between Δv t and Δw t . Copyright Springer Science+Business Media B.V. 2012

Keywords: Cointegration; Distance; Time series; Vector autoregressive model (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s11135-011-9477-2

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